Gap short report

Rows: 134018, Dates: 3153, Direction: short

Table of Contents

Performance summary

AVWAP retrace rate: 5d: 72.88% | 10d: 79.23%

21 EMA retrace rate: 5d: 57.39%  |  10d: 66.95%

Gap closure rate: 5d: 69.36%  |  10d: 76.04%

Gap Retrace Within 5 Days

Year Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2013 3682 73.90 5.97 67.00 2.03 51.98 1.08
2014 4907 73.67 5.79 69.23 2.25 58.06 1.38
2015 7571 73.09 5.86 70.45 2.38 70.29 2.37
2016 7004 72.23 5.09 68.20 2.15 60.02 1.50
2017 5000 77.22 7.37 71.58 2.52 59.50 1.47
2018 7359 79.10 7.59 74.09 2.86 67.55 2.08
2019 6177 68.61 4.54 62.96 1.70 49.89 1.00
2020 29745 74.74 5.84 71.04 2.45 50.82 1.03
2021 14296 73.10 5.48 72.16 2.59 59.54 1.47
2022 19251 74.76 5.19 72.18 2.59 65.18 1.87
2023 10765 69.72 4.56 66.35 1.97 51.03 1.04
2024 9530 65.56 3.82 61.09 1.57 48.93 0.96
2025 8731 68.69 4.68 65.93 1.93 60.31 1.52

Gap Retrace Within 10 Days

Year Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2013 3682 79.30 7.80 72.79 2.67 59.99 1.50
2014 4907 80.88 9.14 77.68 3.48 66.97 2.03
2015 7571 78.75 7.86 76.49 3.25 77.36 3.42
2016 7004 78.20 6.91 74.46 2.92 68.06 2.13
2017 5000 83.04 10.34 77.60 3.46 67.44 2.07
2018 7359 85.61 11.99 81.10 4.29 76.22 3.21
2019 6177 74.13 5.83 69.00 2.23 58.14 1.39
2020 29745 80.29 7.86 76.95 3.34 64.67 1.83
2021 14296 82.04 8.76 80.78 4.20 68.62 2.19
2022 19251 80.83 7.23 78.40 3.63 72.66 2.66
2023 10765 75.55 5.93 72.76 2.67 60.73 1.55
2024 9530 72.93 5.30 68.45 2.17 59.20 1.45
2025 8731 75.23 6.35 73.42 2.76 66.67 2.00

Performance by gap size

5-day performance by gap size

Gap Size Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2-3% 52416 73.02 5.39 77.50 3.44 59.75 1.48
3-4% 31025 74.94 6.08 72.82 2.68 60.88 1.56
4-5% 18396 74.30 5.68 67.03 2.03 58.67 1.42
5-6% 10268 71.66 4.88 61.70 1.61 55.79 1.26
6-7% 6408 70.94 4.72 58.02 1.38 52.72 1.11
7-8% 4136 69.61 4.43 54.16 1.18 49.90 1.00
8-9% 2739 71.78 4.97 53.89 1.17 49.32 0.97
9-10% 2152 69.14 4.31 49.63 0.99 47.21 0.89
10-12% 2281 68.35 4.38 46.69 0.88 43.10 0.76
12-15% 1709 65.59 3.95 40.26 0.67 36.40 0.57
15-20% 1261 63.05 3.50 34.66 0.53 33.47 0.50
20%+ 1105 66.24 3.89 33.76 0.51 30.41 0.44

10-day performance by gap size

Gap Size Trades AVWAP % AVWAP PF Gap Close % Gap Close PF 21EMA % 21EMA PF
2-3% 52416 79.64 7.64 83.24 4.97 69.18 2.24
3-4% 31025 80.92 8.39 79.19 3.81 70.13 2.35
4-5% 18396 80.41 7.85 74.56 2.93 68.46 2.17
5-6% 10268 78.19 6.71 69.69 2.30 66.16 1.95
6-7% 6408 77.01 6.38 65.81 1.92 63.12 1.71
7-8% 4136 76.72 6.07 62.48 1.66 59.77 1.49
8-9% 2739 77.98 6.94 61.99 1.63 59.51 1.47
9-10% 2152 75.23 5.83 57.90 1.38 57.16 1.33
10-12% 2281 74.97 5.94 54.98 1.22 52.48 1.10
12-15% 1709 72.21 5.30 47.92 0.92 45.23 0.83
15-20% 1261 68.91 4.60 42.27 0.73 41.40 0.71
20%+ 1105 72.49 5.09 42.26 0.73 38.82 0.63

Monthly win rates

Monthly win rate (5d vs 10d)

Gap size distribution

Retracement rate by gap bucket (10d)

Win rate vs gap size

Win rate vs distance to AVWAP

Win rate: above vs below 21-EMA

Win rate: above vs below 50-EMA

Win rate: above vs below 100-EMA

Win rate: above vs below 200-EMA

Win rate: above vs below Current Quarter AVWAP

Win rate: above vs below 2Q Ago AVWAP

Win rate: above vs below 3Q Ago AVWAP

Win rate: above vs below 1Y Ago AVWAP

Win rate: above vs below 330-SMA

Win rate by distance to 330-SMA

Win rate vs SPY daily change

Expected P&L (10k/trade) — Equity Curve

Total expected P&L 5d: $34,680,367  |  10d: $38,363,160

Gap size vs 10d retrace %

Days to AVWAP retracement clustering

SPY vs 10d retrace rate (by day)

Top 20 by 10d MFE%

ticker date gap_up_percent mfe_percent_10d mae_percent_10d retrace_percentage_10d
HKD 2022-07-19 14.17 10170.50 26.49 185.94
RGC 2025-04-29 3.87 1640.51 0.00 165.85
NRGD 2022-11-28 7.28 1241.95 7.69 322.19
GME 2021-01-19 17.04 1127.13 8.38 526.20
GME 2021-01-14 21.31 1110.22 14.78 70.26
NRGD 2022-11-18 5.60 1107.76 6.97 208.66
NRGD 2022-11-17 4.56 1029.75 4.00 144.20
CEI 2018-06-25 2.08 721.92 -5.02 239.49
LIN 2014-12-15 6.47 583.81 6.11 247.12
PHUN 2019-01-08 23.42 547.06 11.76 83.35
GME 2021-01-25 48.79 528.99 33.47 260.59
HKD 2022-09-06 3.99 458.38 34.71 242.88
DRIP 2020-02-24 12.85 442.56 1.97 0.00
MDGL 2022-12-13 3.13 404.64 8.48 539.67
LCFYW 2025-01-22 24.89 386.63 1.39 195.18
UVXY 2020-03-05 13.51 370.22 -14.18 0.00
CANF 2015-09-11 2.79 361.76 5.29 343.06
GME 2021-02-22 15.03 358.41 13.04 218.69
CANF 2015-09-15 5.88 356.40 5.81 203.68
JAGX 2018-09-17 7.41 354.55 9.09 388.08